Index Rebal/Special Situations, Quiddity Advisors

Janaghan Jeyakumar, CFA

Index Rebal/Special Situations

Quiddity Advisors

Pan-Asia Catalysts/Events

Index Rebalance

<ul>
<li>In this insight, we take a look at Quiddity's flow expectations for the June 2023 index rebalance.</li>
<li>I currently see 5 ADDs/DELs. Some of these names are different from the ones I specified in my previous insight.</li>
<li>I have also discussed some long-short trading ideas involving names with significant flow implications.</li>
</ul>


In this insight, we take a look at Quiddity's flow expectations for the June 2023 index rebalance.
I currently see 5 ADDs/DELs. Some of these names are different from the ones I specified in my previous insight.
I have also discussed some long-short trading ideas involving names with significant flow implications.


Quiddity Leaderboard TDIV Jun 23: Five Changes and US$922mn One-Way Flows

Pan-Asia Index Rebalances/ Events/ Delta One, Periscope Analytics

Brian Freitas

Pan-Asia Index Rebalances/ Events/ Delta One

Periscope Analytics

Periscope Analytics focuses on event-driven trades across Asia Pacific and provides comprehensive, timely and systematic coverage of index changes to major Asia Pacific indices in a structured manner.

The analysis includes forecasted inclusions and exclusions to all major Asian indices that have significant amount of tracking assets, including estimates of passive buy/sell flow on the stocks. The service also provides commentary and impact of market consultations, ground rule changes, and other events (IPOs, spin-offs, M&A) that could lead to index changes and passive flow.

Periscope Analytics works with multi-strategy hedge funds, proprietary trading firms, stat arb trading groups and long-only investors that invest and trade in the Asia Pacific region with the data being used to trade index rebalances, avoid pre-positioning and passive flow, and to time entry into and exit from stocks.

Event-Driven Trades Across Asia Pacific

Event-Driven

<ul>
<li>With two weeks left to the cutoff, there could be 5 changes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June.</li>
<li>Apart from the adds/deletes, there will also be capping and funding flows that will lead to an estimated one-way turnover of 13.5% and a one-way trade of US$886m.</li>
<li>There are 9 stocks with at least 5 days ADV to trade from passive trackers and another 12 stocks that have at least 1 day ADV to trade.</li>
</ul>


With two weeks left to the cutoff, there could be 5 changes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June.
Apart from the adds/deletes, there will also be capping and funding flows that will lead to an estimated one-way turnover of 13.5% and a one-way trade of US$886m.
There are 9 stocks with at least 5 days ADV to trade from passive trackers and another 12 stocks that have at least 1 day ADV to trade.


Yuanta/​​P-Shares Taiwan Dividend+ ETF Preview: Two Weeks to Cutoff

<ul>
<li>There have been some changes to my expectations for the TWSE Div+ index June 2023 index changes and capping flows.</li>
<li>I currently see 5 ADDs/DELs. Some of these names are different from the ones I specified in my previous insight.</li>
<li>In this insight, we take a look at my latest flow expectations.</li>
</ul>


There have been some changes to my expectations for the TWSE Div+ index June 2023 index changes and capping flows.
I currently see 5 ADDs/DELs. Some of these names are different from the ones I specified in my previous insight.
In this insight, we take a look at my latest flow expectations.


Quiddity Leaderboard TWSE Div+ Jun 23: New Potential Index Changes and Flow Expectations Update

<ul>
<li>Using data from the close on 19 April, there could be 5 changes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June.</li>
<li>There will also be capping and funding flows that will lead to a one-way turnover of 13.6% and a one-way trade of US$885m.</li>
<li>There are 10 stocks with at least 3 days ADV to trade from passive trackers and another 10 stocks that have at least 1 day ADV to trade.</li>
</ul>


Using data from the close on 19 April, there could be 5 changes to the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June.
There will also be capping and funding flows that will lead to a one-way turnover of 13.6% and a one-way trade of US$885m.
There are 10 stocks with at least 3 days ADV to trade from passive trackers and another 10 stocks that have at least 1 day ADV to trade.


Yuanta/​P-Shares Taiwan Dividend Plus ETF: June Rebalance Preview

Korea / Special Situations, Clepsydra Capital

Sanghyun Park

Korea / Special Situations

Korea / Special Sits, Pairs, Index Rebalancing

Clepsydra Capital

Investigate special situations, pairs, and index rebalancing trades in Korea.

Equity Capital Markets

<ul>
<li>Suppose we grouped S1 and Taiwan Secom with the Physical/Integrated Security weighting and then applied the Cybersecurity weighing to Ahnlab and CyberOne. <strong>We would have 11.40x, substantially lower than 14.85x</strong>.</li>
<li>SK Shieldus' sales were ₩1.55T, an increase of ₩0.22T (16.8%) from the previous year. But<strong> 65% of last year's sales increase was derived from the internal deals with SK Group</strong>.</li>
<li>How the company and the bankers will respond to those mentioned above two controversial aspects will be the most crucial point in determining the success or failure of this IPO.</li>
</ul>


Suppose we grouped S1 and Taiwan Secom with the Physical/Integrated Security weighting and then applied the Cybersecurity weighing to Ahnlab and CyberOne. We would have 11.40x, substantially lower than 14.85x.
SK Shieldus' sales were ₩1.55T, an increase of ₩0.22T (16.8%) from the previous year. But 65% of last year's sales increase was derived from the internal deals with SK Group.
How the company and the bankers will respond to those mentioned above two controversial aspects will be the most crucial point in determining the success or failure of this IPO.


SK Shieldus Controversies: Excessive Valuations & Suspicious Surge in Internal Sales

Taiwan

Taiwan Secom Co Ltd provides diversified technology-based integrated security solutions for commercial enterprises and residences.  The Company monitors and maintains security systems devices, such as burglar and fire alarms for offices, shops, parking lots, and residences.  Taiwan Secom also provides security system consulting, designing, engineering, and integration services.

Price Gauge
52-week Range	0.00 - 0.00
Market Cap (USDm)	0.00
P/E	0.00
Dividend (Yield)	0.00

Taiwan Secom (9917 TT)

Quiddity Leaderboard TDIV Jun 23: Five Changes and US$922mn One-Way Flows

I see 35 inflow names including the five Expected ADDs and 20 outflow names including the five Expected DELs. My latest estimation for one-way flow...

Janaghan Jeyakumar, CFA

Yuanta/P-Shares Taiwan Dividend+ ETF Preview: Two Weeks to Cutoff

With 2 weeks to cutoff, we see 5 changes in June. The deletions are fairly clear, but there are a lot of non-constituents crowded around similar...

Brian Freitas

Quiddity Leaderboard TWSE Div+ Jun 23: New Potential Index Changes and Flow Expectations Update

At present, I see 28 inflow names including the five Expected ADDs and 27 outflow names including the five DELs. My latest estimation for one-way...

Janaghan Jeyakumar, CFA

Yuanta/P-Shares Taiwan Dividend Plus ETF: June Rebalance Preview

There could be 5 changes for the Yuanta/P-Shares Taiwan Dividend Plus ETF in June. There will also be capping/funding flows that will lead to a...

Brian Freitas

SK Shieldus Controversies: Excessive Valuations & Suspicious Surge in Internal Sales

This post investigates two controversial aspects found in SK Shieldus' revised IPO prospectus as the bookbuilding is currently in progress.

Sanghyun Park

Price Gauge

52-week Range

Market Cap (USDm)

P/E

Dividend (Yield)

Quiddity Leaderboard TDIV Jun 23: Five Changes and US$922mn One-Way Flows

I see 35 inflow names including the five Expected ADDs and 20 outflow names including the five Expected DELs. My latest estimation for one-way flow...

Janaghan Jeyakumar, CFA

Yuanta/​​P-Shares Taiwan Dividend+ ETF Preview: Two Weeks to Cutoff

With 2 weeks to cutoff, we see 5 changes in June. The deletions are fairly clear, but there are a lot of non-constituents crowded around similar...

Brian Freitas

Quiddity Leaderboard TWSE Div+ Jun 23: New Potential Index Changes and Flow Expectations Update

At present, I see 28 inflow names including the five Expected ADDs and 27 outflow names including the five DELs. My latest estimation for one-way...

Janaghan Jeyakumar, CFA

Yuanta/​P-Shares Taiwan Dividend Plus ETF: June Rebalance Preview

There could be 5 changes for the Yuanta/​P-Shares Taiwan Dividend Plus ETF in June. There will also be capping/funding flows that will lead to a...

Brian Freitas

SK Shieldus Controversies: Excessive Valuations & Suspicious Surge in Internal Sales

This post investigates two controversial aspects found in SK Shieldus' revised IPO prospectus as the bookbuilding is currently in progress.

Sanghyun Park

Yuanta/P-Shares Taiwan Dividend+ ETF Preview: Two Weeks to Cutoff

Yuanta/P-Shares Taiwan Dividend Plus ETF: June Rebalance Preview

There could be 5 changes for the Yuanta/P-Shares Taiwan Dividend Plus ETF in June. There will also be capping/funding flows that will lead to a...